Goodness-of-fit in Multivariate Time Series
Goodness-of-fit is an important task in time series analysis. In this thesis, wepropose a new family of statistics and a new goodness-of-fit process for the wellknownmultivariate autoregressive moving average VARMA(p,q) model.Some preliminary results are studied first for an initial goodness-of-fit...
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| Format: | Doctoral Thesis |
| Language: | English |
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Universidad Carlos III de Madrid, Department of Statistics, Facultad de Ciencias Sociales y Jurıdicas, Campus de Getafe
2014
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:ltu:diva-18770 |